Time-Varying Exposure to Long-Run Consumption Risk

This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

Download Full-text

From education to democracy: evidence from long-run time-varying estimates

International Review of Economics ◽

10.1007/s12232-017-0273-8 ◽

2017 ◽

Vol 64 (4) ◽

pp. 313-325

Author(s):

Nicholas Apergis ◽

James E. Payne

Keyword(s):

Time Varying ◽

Long Run ◽

Run Time

Download Full-text

Capital market integration and consumption risk sharing over the long run

Journal of International Economics ◽

10.1016/j.jinteco.2016.08.001 ◽

2016 ◽

Vol 103 ◽

pp. 27-43 ◽

Cited By ~ 11

Author(s):

Jesper Rangvid ◽

Pedro Santa-Clara ◽

Maik Schmeling

Keyword(s):

Capital Market ◽

Risk Sharing ◽

Market Integration ◽

Capital Market Integration ◽

Long Run ◽

Consumption Risk

Download Full-text

On the convergence of evolution processes with time-varying mutations and local interaction

Journal of Applied Probability ◽

10.1239/jap/996986746 ◽

2001 ◽

Vol 38 (2) ◽

pp. 301-323 ◽

Cited By ~ 6

Author(s):

Hsiao-Chi Chen ◽

Yunshyoung Chow

Keyword(s):

Nash Equilibrium ◽

Dynamic System ◽

Convergence Rates ◽

Evolutionary Model ◽

Coordination Game ◽

Local Interaction ◽

Mutation Rates ◽

Time Varying ◽

Long Run ◽

Long Run Equilibrium

This paper analyzes players’ long-run behavior in an evolutionary model with time-varying mutations under both uniform and local interaction rules. It is shown that a risk-dominant Nash equilibrium in a 2 × 2 coordination game would emerge as the long-run equilibrium if and only if mutation rates do not decrease to zero too fast under both interaction methods. The convergence rates of the dynamic system under both interaction rules are also derived. We find that the dynamic system with local matching may not converge faster than that with uniform matching.

Download Full-text

COVID-19 and output in Japan

Japanese Economic Review ◽

10.1007/s42973-021-00098-4 ◽

2021 ◽

Author(s):

Daisuke Fujii ◽

Taisuke Nakata

Keyword(s):

Policy Response ◽

Time Varying ◽

State Of Emergency ◽

Unique Role ◽

Varying Parameters ◽

Output Loss ◽

Long Run ◽

Time Varying Parameters ◽

Short Run ◽

Model Based Analysis

AbstractWe build a tractable SIR-macro-model with time-varying parameters and use it to explore various policy questions such as when to lift the state of emergency (SOE). An earlier departure from the SOE results in smaller output loss and more deaths in the short run. However, if the SOE is lifted too early, the number of new cases will surge and another SOE may need to be issued in the future, possibly resulting in both larger output loss and more deaths. That is, the tradeoff between output and infection that exists in the short run does not necessarily exist in the long run. Our model-based analysis—updated weekly since January 2021, frequently reported by media, and presented to policymakers on many occasions—has played a unique role in the policy response to the COVID-19 crisis in Japan.

Download Full-text